We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted...

Particle Filter algorithms for filtering latent states (volatility and jumps) of Stochastic-Volatility Jump-Diffusion (SVJD) models are being explained. Three versions of the SIR particle filter with adapted proposal distributions to the jump occurrences, jump sizes, and both are derived and...

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

Following recent advances in the non-parametric realized volatility approach, we separately measure the discontinuous jump part of the quadratic variation process for individual stocks and incorporate it into heterogeneous autoregressive volatility models. We analyze the distributional...

The issue of long memory, though has important theoretical and practical implications, has not received much attention in India. This article examines the issue of long memory in mean of the stock returns by employing a set of sophisticated time-series tests including a bias reduced log...

Lawsuits brought pursuant to section 10(b) of the Securities and Exchange Act depend on the reliability of a statistical tool called an event study to adjudicate issues of reliance, materiality, loss causation, and damages. Although judicial acceptance of the event study technique is pervasive,...

We perform a comprehensive Monte Carlo comparison between nine procedures available in the literature to detect jumps in financial assets proposed by Barndorff-Nielsen and Shephard (2006), Andersen et al. (2007), Lee and Mykland (2008), A¨ıt-Sahalia and Jacod (2008), Jiang and Oomen (2008),...

The paper outlines and tests, by means of Monte-Carlo simulations, a simple strategy of using existing non-parametric tests for jumps at the daily frequency to identify jumps at higher sampling frequencies. The suggested strategy allow for identification of the number of jumps and jump times...

Originally developed as a statistical tool for empirical research in accounting and finance, event studies have since migrated to other disciplines as well, including economics, history, law, management, marketing, and political science. Despite the elegant simplicity of a standard event study,...

We investigate the pricing of systematic liquidity risk in UK equities using a large sample of daily data. Employing four alternative measures of liquidity we first find strong evidence of commonality in liquidity across stocks. We apply asymptotic principal component analysis (PCA) on the...